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Citations for "The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes"

by Tucker, Alan L & Pond, Lallon

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  1. R. Chiang & John Okunev & Mark Tippett, 1996. "Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk," Working Paper Series 58, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
  3. Chen, Shouquan & Huang, Jianwen, 2014. "Rates of convergence of extreme for asymmetric normal distribution," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 158-168.
  4. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  5. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
  6. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.
  7. Jonathan Batten & Craig Ellis, 2001. "Scaling Foreign Exchange Volatility," Accounting, Finance, Financial Planning and Insurance Series 2001_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  8. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus.
  9. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
  10. Engel, Charles & Hakkio, Craig S, 1996. "The Distribution of Exchange Rates in the EMS," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 55-67, January.
  11. BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007. "Mixed exponential power asymmetric conditional heteroskedasticity," CORE Discussion Papers 2007097, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. Carol Osler & Tanseli Savaser, 2010. "Extreme Returns: The Case of Currencies," Working Papers 04, Brandeis University, Department of Economics and International Businesss School.
  13. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  14. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-51, May-June.
  15. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
  16. Kaehler, Jürgen, 1993. "On the modelling of speculative prices by stable Paretian distributions and regularly varying tails," ZEW Discussion Papers 93-25, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  17. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
  18. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 337-349, December.
  19. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 167-180.
  20. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, vol. 33(C), pages 926-939.
  21. Lin, Bing-Huei & Yeh, Shih-Kuo, 2001. "Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 167-197, June.